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st: Finding a vector minimizing the variance with Stata 8.2


From   "Kristin J. Kleinjans" <kkleinjans@econ.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Finding a vector minimizing the variance with Stata 8.2
Date   Mon, 17 Jul 2006 15:27:46 +0200 (CEST)

Dear Statalist,
I need to find a vector w such that
X=w'V w is minimized, where V is a variance-covariance matrix. I use Stata
8.2 - does anybody know if there is a way to do this?

Thank you,
Kristin


Kristin J. Kleinjans
University of Aarhus
Department of Economics
Building 322
8000 Aarhus C
Denmark
Phone: +45 8942 1624. Fax: +45 8613 6334
E-mail: kkleinjans@econ.au.dk
Website: www.econ.au.dk/vip_htm/kkleinjans/Default.htm



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